价格形成的经验行为模型
An empirical behavioral model of price formation
摘要：
尽管行为经济学已经证明，在许多情况下，理性选择是一个糟糕的经验模型，但它迄今未能提供价格形成等经济问题的定量模型。我们在这个方向上迈出了一步，通过开发实证模型，捕捉交易订单的放置和取消使用来自伦敦证券交易所的数据的行为。对于订单放置，我们表明，在给定的价格下订单的概率是很好的近似学生分布小于两个自由度，集中在最好的报价。这个结果是令人惊讶的，因为它意味着交易订单的放置是对称的，独立于买卖价差，买卖也是如此。我们还开发了一个粗糙但简单的取消模型，该模型取决于订单相对于最佳价格的位置以及限价订单簿中买卖订单之间的不平衡。这些结果相结合，构建一个随机代表代理模型，其中的订单和取消的条件概率分布。该模型被用来模拟价格的形成，并将结果与伦敦证券交易所的真实数据进行比较。在不根据价格数据调整任何参数的情况下，该模型对收益率分布和买卖价差的大小和函数形式产生了很好的预测。
英文摘要：
Although behavioral economics has demonstrated that there are many situations where rational choice is a poor empirical model, it has so far failed to provide quantitative models of economic problems such as price formation. We make a step in this direction by developing empirical models that capture behavioral regularities in trading order placement and cancellation using data from the London Stock Exchange. For order placement we show that the probability of placing an order at a given price is well approximated by a Student distribution with less than two degrees of freedom, centered on the best quoted price. This result is surprising because it implies that trading order placement is symmetric, independent of the bid-ask spread, and the same for buying and selling. We also develop a crude but simple cancellation model that depends on the position of an order relative to the best price and the imbalance between buying and selling orders in the limit order book. These results are combined to construct a stochastic representative agent model, in which the orders and cancellations are described in terms of conditional probability distributions. This model is used to simulate price formation and the results are compared to real data from the London Stock Exchange. Without adjusting any parameters based on price data, the model produces good predictions for the magnitude and functional form of the distribution of returns and the bid-ask spread.
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